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112 Joanna Olbryś, Michał Mursztyn

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MARKET DEPTH AS ONE OF MARKET LIQUIDITY DIMENSIONS ON THE WARSAW STOCK EXCHANGE

Abstract: Purpose - The main aim of the paper was an empirical analysis of market depth as one of the market liąuidity dimensions on the Warsaw Stock Exchange. The additional goal was a robustness analysis of results obtained with respect to the whole sample period January 2005-June 2015, and three adjacent sub-samples of eąual size: the pre-crisis, crisis, and post-crisis periods.

Design/methodology - 53 WSE-listed companies from three size groups have been investigated. The high-freąuency data was utilized. As the data set do not identify a trade direction, firstly a trade classification algorithm was employed to infer trade sides. Next the proxies of market depth were calculated using the so-called order ratio (OR).

Findings - According to the literaturę, a high order ratio denotes high market depth and Iow liąuidity. A smali order ratio denotes smali market depth and high liąuidity. The empirical results reveal the smallest value of the OR indicator for the most liąuid assets (e.g. KGH, OPL. PEO, PKN, PKO). Moreover, the results turned out to be robust to the choice of the sample and rather do not depend on a firm size.

Originality/value - To the best of the authors’ knowledge, no such research has been undertaken for the Warsaw Stock Exchange thus far.

Keywords: dimensions of market liąuidity', market depth, trade classification algorithms

Cytowanie

Olbiyś J., Mursztyn M. (2016). Głębokość tynku jako jeden z wymiarów płynności Giełdy Papierów Wartościowych w Warszawie SA. Finanse, Rynki Finansowe, Ubezpieczenia, I (79), 101-112; www.wneiz.pl/frftt.